统计与决策2024，Vol.40Issue(8)：22-27,6.DOI:10.13546/j.cnki.tjyjc.2024.08.004
基于新权重函数的MIX-GARCH-L模型及其应用
MIX-GARCH-L Model Based on New Weight Function and Its Application
摘要
Abstract
This paper introduces a new weight function and constructs a new volatility model—MIX-GARCH-L model.The new model can fully utilize high and low frequency data to extract more valuable information.In response to the problem of param-eter estimation in the new model,this paper proposes a parameter estimation method for the MIX-GARCH-L model to analyze the theoretical properties of the estimator,proves the corresponding central limit theorem,and uses the Service-Bootstrap method to simulate and test the data performance of the estimator.The proposed model has the following advantages:The new weight func-tion can better automatically adjust the weight allocation for different trading days based on changes in trading characteristics,so that the weight assigned to each high-frequency trading day is consistent with the impact effect of future volatility.The new volatil-ity model can utilize a variety of high-frequency trading data within the same trading process,and make better use of information,so that MIX-GARCH-L model has better prediction accuracy and prediction advantages.The empirical results show that the MSPE value of the MIX-GARCH-L model is significantly smaller than that of the GARCH-RV model and GARCH-M model,in-dicating that the MIX-GARCH-L model not only has better prediction accuracy in model prediction,but also has better perfor-mance in robustness.关键词
混频数据/新权重/波动率/参数估计/数值模拟Key words
mixed frequency data/new weight/volatility/parameter estimation/numerical simulation分类
社会科学引用本文复制引用
杨炜明,刘涛,王琴..基于新权重函数的MIX-GARCH-L模型及其应用[J].统计与决策,2024,40(8):22-27,6.基金项目
国家统计局重大统计专项(2023ZX08) （2023ZX08）
重庆市自然科学基金资助项目(CSTC2020JCYJ-MSXMX0394) （CSTC2020JCYJ-MSXMX0394）
重庆市社会科学规划项目(2022NDQN23) （2022NDQN23）
重庆对外经贸学院校级重点项目(KYSK202203) （KYSK202203）
